The law of the Euler scheme for stochastic differential equations

Summary We study the approximation problem ofE f(X _T ) byE f(X _T ⁿ ), where (X _t ) is the solution of a stochastic differential equation, (X _T ⁿ ) is defined by the Euler discretization scheme with stepT/n, andf is a given function. For smoothf's, Talay and Tubaro have shown that the errorE f(X _T ) –f(X _T ⁿ ) can be expanded in powers of 1/n, which permits to construct Romberg extrapolation precedures to accelerate the convergence rate. Here, we prove that the expansion exists also whenf is only supposed measurable and bounded, under an additional nondegeneracy condition of Hörmander type for the infinitesimal generator of (X _t ): to obtain this result, we use the stochastic variations calculus. In the second part of this work, we will consider the density of the law ofX _T ⁿ and compare it to the density of the law ofX _T .     

Another Note on Polynomial vs Rational Approximation

LetEbe a subspace ofC(X) and letR(E)=g/h : g, hE; h>0}. We make a simple, yet intriguing observation: if zero is a best approximation toffromE, then zero is a best approximation toffromR(E). We also prove that if {E_n} is dense inC(X) then for almost allf(in the sense of category)[formula]That extends the results of P. Borwein and S. Zhou who proved it for the case whenE_nis the space of algebraic or trigonometric polynomials of degreen.     

A counterexample in copositive approximation

The present paper gives a converse result by showing that there exists a functionf ∈C _[−1,1], which satisfies that sgn(x)f(x) ≥ 0 forx ∈ [−1, 1], such that {fx75-1} whereE _n ⁽⁰⁾ (f, 1) is the best approximation of degreen tof by polynomials which are copositive with it, that is, polynomialsP withP(x(f(x) ≥ 0 for allx ∈ [−1, 1],E _n(f) is the ordinary best polynomial approximation off of degreen.     

Multiobjective programming and penalty functions

This paper generalizes the penalty function method of Zang-will for scalar problems to vector problems. The vector penalty function takes the form $$g(x,\lambda ) = f(x) + \lambda ^{ - 1} P(x)e,$$ wheree ?R ^m, with each component equal to unity;f:R ⁿ →R ^m, represents them objective functions {f ⁱ} defined onX \( \subseteq \) R ⁿ; λ ∈R ¹, λ>0;P:R ⁿ →R ¹ X \( \subseteq \) Z \( \subseteq \) R ⁿ,P(x)≦0, ∨x ∈R ⁿ,P(x) = 0 ?x ∈X. The paper studies properties of {E (Z, λ _r )} for a sequence of positive {λ _r } converging to 0 in relationship toE(X), whereE(Z, λ _r ) is the efficient set ofZ with respect tog(·, λ_r) andE(X) is the efficient set ofX with respect tof. It is seen that some of Zangwill's results do not hold for the vector problem. In addition, some new results are given.     

Functions of ann-dimensional Brownian motion that are Markovian

Letf be a continuous function fromR ⁿ toR and letX(t)=(X ₁ (t), …, X _n (t)) be a Brownian motion onR ⁿ . The explicit form off necessary in order to makef(X(t)) a Markov process is determined.     

Über allgemeine Hyperflächenschnitte einer algebraischen Varietät

LetV/k be an irreducible algebraic variety over a fieldk in an affinen-space andF _u a generic hypersurface defined byu ₁ f ₁ (X)+...+u r f _r(X)=0, whereu ₁...,u _r are indeterminates overk andf ₁(X), ...,f _r(X) are polynomials ink[X ₁, ...,X _n]. Let (E) be a property which an arbitrary algebraic variety could have, e. g. irreducibility, normality (local or global), ... Then it will be studied under which conditions off ₁(X), ...,f _r(X) (E) may be transfered fromV/k toVF _u /k(u) (and conversely).     

Convergence of the efficient sets

LetA _n,n=1, 2, ... be nonempty subsets of a linear metric spaceE andC _n, n=1, 2, ... convex cones ofE. We consider the efficient sets Min(A _n, C_n) and the aim of this paper is to show that under suitable conditions, the convergence ofA _n andC _n toA andC respectively, implies the convergence of Min(A _n,C _n) to Min(A, C). Several illustrative examples are given which clarify the results.     

On the strong law of large numbers for dependent random variables

Let {X _n} _n ^=1/∞ be a sequence of random variables with partial sumsS _n, and let {ie241-1} be the σ-algebra generated byX ₁,…,X _n. Letf be a function fromR toR and suppose {ie241-2}. Under conditions off and moment conditions on theX' _ns, we show thatS _n/n converges a.e. (almost everywhere). We give several applications of this result. Research supported by N.S.F. Grant MCS 77-26809     

Interpolating them-th power ofx at the zeros of then-th Chebyshev-polynomial yields an almost best Chebyshev-approximation

LetX={x ₁,x ₂,..., _n }I=[–1, 1] and . ForfC ₁(I) definef* byf–p _f =f*, wherep _f denotes the interpolation-polynomial off with respect toX. We state some properties of the operatorf f*. In particular, we treat the case whereX consists of the zeros of the Chebyshev polynomialT _n (x) and obtain x ^m –p _x ^m8eE _n–1(x ^m ), whereE _n–1(f) denotes the sup-norm distance fromf to the polynomials of degree less thann. Finally we state a lower estimate forE _n (f) that omits theassumptionf ⁽ⁿ⁺¹⁾>0 in a similar estimate of Meinardus.     

Sequentially equidistant points in metric spaces

A sequence (z ₀,z ₁,z ₂,, ...,z _n, z _n+1) of points fromp=z ₀ toq=z _n+1 in a metric spaceX is said to besequentially equidistant ifd(z _i−1,z _i)=d(z _i,z _i+1) for 1≦i≦n. If there is path inX fromp toq (or if a certain weaker condition holds), then such a sequence exists, with all points distinct, for every choice ofn, while ifX is compact and connected, then such a sequence exists at least forn=2. An example is given of a dense connected subspaceS ofR ^m ,m≧2, and an uncountable dense subsetE disjoint fromS for which there is no sequentially equidistant sequence of distinct points (n ≧ 2) inS ∪E between any two points ofE. Techniques of dimension theory are utilized in the construction of these examples, as well as in the proofs of some of the positive results. Supported in part by NSF Grant DMS-8701666.     

Vector bundles as direct images of line bundles

LetX be a smooth irreducible projective variety over an algebraically closed fieldK andE a vector bundle onX. We prove that, if dimX ≥ 1, there exist a smooth irreducible projective varietyZ overK, a surjective separable morphismf:Z →X which is finite outside an algebraic subset of codimension ≥ 3 inX and a line bundleL onX such that the direct image ofL byf is isomorphic toE. WhenX is a curve, we show thatZ, f, L can be so chosen thatf is finite and the canonical mapH ¹(Z, O) →H ¹(X, EndE) is surjective. Dedicated to the memory of Professor K G Ramanathan     

On the convergence of optimum stratifications for empiric distribution function in univariate case

Summary Let {X _n },n=1,2,..., be a sequence of independent random variables distributed according to a distribution functionF(x) with finite variance,F _n (x) be the empiric distribution function ofX ₁,...,X _n for eachn, andφ _(n) ^* andφ ^* be optimum stratifications corresponding toF _n (x) andF(x) respectively. It is shown in this paper thatφ _(a) ^* tends almost surely toφ ^* under a suitable criterion. Institute of Statistical Mathematics     

A Note on the Convergence of Integral Functionals of Diffusion Processes. An Application to Strong Convergence

For a diffusion type process dX_t = dW_i + a(t, X)dt and a sequence (f_n) of nonnegative functions necessary and sufficient conditions to the f_n are established which guarantee the a.s. convergence of f_n(X_t)dt to zero. This result is applied to derive simple necessary and sufficient conditions for the strong convergence of distributions of diffusion processes formulated in terms of the corresponding drift functions.     

Convergence parameter associated with a Markov chain and a family of functions

The proposed definition of convergence parameter R(W) corresponding to a Markov chain X with a measurable state space (E,?) and any nonempty setW of bounded below measurable functions f: E → ? is wider than the well-known definition of convergence parameter R in the sense of Tweedie or Nummelin. Very often, R(W) < ∞, and there exists a set playing the role of the absorbing set inNummelin’s definition ofR. Special attention is paid to the case in whichE is locally compact, X is a Feller chain on E, and W coincides with the family ? ₀ ⁺ of all compactly supported continuous functions f ≥ 0 (f ? 0). In particular, certain conditions for R(? ₀ ⁺ )^?1 to coincide with the norm of an appropriate modification of the chain transition operator are found.     

Symetries isometriques applications a la dualite des espaces reticules

We show that ifE is a non-reflexive Banach lattice, there exists for everyn a dual of finite even order ofE which contins isometicallyl _n ^/l . We show that itE is a Banach lattice which is isometric to the dual of a Banach spaceX, then the order intervals are σ (E, X)-compact. We prove then that under various conditions, a Banach lattice which is a dual as a Banach space, is a dual as a Banach lattice. In particular, this is true when the predual ofE is unique.      

On the order of growth of solutions of algebraic differential equations

Assume thatf is an integer transcendental solution of the differential equationP _n (z, f, f′)=P _n−1(z, f, f′, ... f ^(p)), whereP _n andP _n−1 are polynomials in all variables, the degree ofP _n with respect tof andf′ is equal ton, and the degree ofP _n−1 with respect tof, f′, ... f ^(p) is at mostn−1. We prove that the order ρ of growth off satisfies the relation 1/2≤ρ<∞. We also prove that if ρ=1/2, then, for a certain real ν, in the domain {z: ν<argz<ν+2π}/E _*, whereE _* is a certain set of disks with finite sum of radii, the estimate lnf(z)=z ^1/2 (β+o(1)), β∈C, holds forz=re ^iϕ,r≥r(ϕ)≥0. Furthermore, on the ray {z: argz=ν}, the following relation is true: ln‖f(re ^iν)‖=o(r ^1/2),r→+∞,r>0, , where Δ is a certain set on the semiaxisr>0 with mes Δ<∞. “L'vivs'ka Politekhnika” University, Lvov. Translated from Ukrainskii Matematicheskii Zhurnal, Vol. 51, No. 1, pp. 69–77, January, 1999.     

Central limit theorem for integrated square error of kernel estimators of spherical density

LetX ₁,…,X _n be iid observations of a random variableX with probability density functionf(x) on the q-dimensional unit sphere Ω_q in R^q+1,q ⩾ 1. Let be a kernel estimator off(x). In this paper we establish a central limit theorem for integrated square error off _n under some mild conditions.     

Uniform harmonic approximation with continuous extension to the boundary

Let Ω be an open set in ℝ ⁿ andE be a relatively closed subset of Ω. Further, letC _e(E) be the collection of real-valued continuous functions onE which extend continuously to the closure ofE in ℝ ⁿ . We characterize those pairs (Ω,E) which have the following property: every function inC _e(E) which is harmonic onE ⁰ can be uniformly approximated onE by functions which are harmonic on Ω and whose restrictions toE belong toC _e(E).     

The rate of the normal approximation for jackknifingU-statistics

Let U_n be a U-statistic with symmetric kernel h(x,y) such that Eh(X_1,X_2)=θ and Var E[h(X_1,X_2)-θ|X_j]>0.Let f(x) be a function defined on R and f″ be bounded.If f(θ) is the parameterof interest,a natural estimator is f(U_n).It is known that the distribution function of z_n=(n~(1/2){Jf(U_n)-f(θ)})/(S_n~*) converges to the standard normal distribution Φ(x) as n→∞,where Jf(U_n) isthe jackknife estimator of f(U_n),and S_n~(*2) is the jackknife estimator of the asymptotic variance ofn~(1/2) Jf(U_n).It is of theoretical value to study the rate of the normal approximation of the statistic.In this paper,assuming the existence of fourth moment of h(X_1,X_2),we show that(?)|P{z_n≤x}-Φ(x)|=O(n~(-1/2)log n).This improves the earlier results of Cheng(1981).     

The Choquet integral representation in the affine vector-valued case

LetX be any compact convex subset of a locally convex Hausdorff space andE be a complex Banach space. We denote byA(X, E) the space of all continuous and affineE-valued functions defined onX. In this paper we prove thatX is a Choquet simplex if and only if the dual ofA(X, E) is isometrically isomorphic by a selection map toM _m (X, E*), the space ofE*-valued,w*-regular boundary measures onX. This extends and strengthens a result of G. M. Ustinov. To do this we show that for any compact convex setX, each element of the dual ofA(X, E) can be represented by a measure inM _m (X, E*) with the same norm, and this representation is unique if and only ifX is a Choquet simplex. We also prove that ifX is metrizable andE is separable then there exists a selection map from the unit ball of the dual ofA(X, E) into the unit ball ofM _m (X, E*) which is weak* to weak*-Borel measurable.This work will constitute a portion of the author's Ph.D. Thesis at the University of Illinois.